Yes, this option works with MemSQL. This is an option in the MySQL client, so it works exactly as described in the MySQL client documentation you linked to.
Hmm, that worked for me, not sure why it isn’t working in your case. Perhaps try explicitly pointing to the .my.cnf file with the --defaults-file option.
Any ideas what could be going on or what else I need to check?
[root@ip-10-something ~]# memsql --version
/usr/lib/memsql-client/memsql-client  Ver 14.14 Distrib 5.7.17, for Linux (x86_64) using  EditLine wrapper
Ah, I see what the issue is. The memsql client package is a wrapper around the mysql client, and effectively uses the --no-defaults option. We are currently looking into this issue with specifying client configuration.
For now, I think the easiest solution is to install the mysql client and use that directly.